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Include MLE estimation of tau_0 and sigma_2 #524
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enable uar1 option for PSD.signif_test(); CI test TODO
…estimation functions in test_utils_tsmodel.py
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I fixed import issues in tsmodel and renamed functions as appropriate.
One remaining difference is that ar1_sim_geneva is not vectorized (it generates one version of y at a time, not an (n x p) array as ar1_sim does. For MC applications, it’s usually more efficient to vectorize, so I request that capability.
It should be easy for you to enable and test (e.g. the averages of estimated tau and sigma2 over the p realizations should be even closer to the true values).
…th ar1_sim_geneva() and ability to specify distribution of the delta_t and relevant parameters, added various checks on parameters of ar1_sim_geneva(), modified test test_ar1fit_ml() to adapt to new parametrization
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Thanks for these changes Lionel! I decided to pull out the part generating time increments to a dedicated function, as we might use it for something else.
ar1sim
will point to ar1_sim_geneva(), and the current one will be relabeledar1old
for benchmarking purposes.